Is curve alpha being arbitraged away?
Investors looking for commodity exposure through fund offerings usually have one of two basic choices. They can opt for pure long strategies via funds which take positions in the...
Performance of VIX ETP Hedges in Current Selloff
It was only a week ago that I discussed the performance of 31 VIX and volatility-based exchange-traded products in VIX ETP Returns for Q1 2012 and barely a month ago that I examined in some detail the workings of two VIX ETPs, VQT and XVZ, in Dynamic V...
VIX ETP Returns for Q1 2012
Back in my consulting days, I convinced myself that there were rare instances when an ugly chart crammed full of data should take precedence over a clean and simple graphic that focused on the key takeaways. For my purposes at least, the graphic below,...
Options on UVXY and SVXY Open Up New VIX ETP Trading Approaches
Whether or not I find it useful to flog the wounded horse otherwise known as the VelocityShares Daily 2x VIX Short-Term ETN (TVIX), it seems as if investors and the media insist that the wild and crazy story of this +2x VIX futures ETN remain on the fr...
Options on UVXY and SVXY Open Up New VIX ETP Trading Approaches
Whether or not I find it useful to flog the wounded horse otherwise known as the VelocityShares Daily 2x VIX Short-Term ETN (TVIX), it seems as if investors and the media insist that the wild and crazy story of this +2x VIX futures ETN remain on the fr...
The Saudi oil sales enigma
Something of a strange one this. Every analyst and his dog has for the longest while been preaching that demand for crude post-crisis has really been all about emerging market demand…...
Third Steepest First-Second Month VIX Futures Contango Ever
For a variety of reasons, investors seem unwilling to embrace the current rally and with each day the market rises, I see a scramble in the indicator forest to find some sort of proof that stocks are finally, inevitably going to correct…and soon. I n...
An Updated Field Guide to VIX ETPs
With the sudden success of TVIX, it seems as if the entire VIX exchange-traded product (ETP) space has a large number of new converts. Growing from just two products at the end of 2009 (VXX and VXZ) to 12 by the end of 2010 and 31 by the end of 2011, V...
Four Key Drivers of the Price of TVIX
TVIX (VelocityShares Daily 2x VIX Short-Term ETN) is the new rock star in the VIX exchange-traded product (ETP) space. Far from being a one-hit wonder, I predicted just two weeks after it was launched (toward the end of 2010) that “TVIX will hit a t...
Slaying the Natural Gas Contango Dragon
Yesterday’s post on Natural Gas, Contango and UNG appears to have generated a fair amount of interest across a broad base of readers, so for an encore I have decided to forego the typical collection of dazzling Liszt miniatures and skip directly to m...
Natural Gas, Contango and UNG
I have talked at length in this space about the contango and negative roll yield issues that plague VXX. Periodically these discussions trigger a question from a reader about the impact of contango on some of the other ETPs. Just to be clear, as far a...
